Related papers: Optimal execution on Uniswap v2/v3 under transient…
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitive equilibrium and also for non-price-taking equilibria. The…
Trading algorithms that execute large orders are susceptible to exploitation by order anticipation strategies. This paper studies the influence of order anticipation strategies in a multi-investor model of optimal execution under transient…
This paper presents a topology optimization framework for structural problems subjected to transient loading. The mechanical model assumes a linear elastic isotropic material, infinitesimal strains, and a dynamic response. The optimization…
In this paper, we study optimal liquidation problems in a randomly-terminated horizon. We consider the liquidation of a large single-asset portfolio with the aim of minimizing a combination of volatility risk and transaction costs arising…
We propose a price impact model where changes in prices are purely driven by the order flow in the market. The stochastic price impact of market orders and the arrival rates of limit and market orders are functions of the market liquidity…
We consider an agent interacting with an unmodeled environment. At each time, the agent makes an observation, takes an action, and incurs a cost. Its actions can influence future observations and costs. The goal is to minimize the long-term…
We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price…
We theoretically and numerically study the problem of optimal control of large-scale autonomous systems under explicitly adversarial conditions, including probabilistic destruction of agents during the simulation. Large-scale autonomous…
Passive liquidity providers (LPs) in automated market makers (AMMs) face losses due to adverse selection (LVR), which static trading fees often fail to offset in practice. We study the key determinants of LP profitability in a dynamic…
In this paper, we study a retailer price optimization problem which includes the practical constraints: maximum number of price changes and minimum amount of price change (if a change is recommended). We provide a closed-form formula for…
In this work, the problem of optimizing damper positions in vibrational systems is investigated. The objective is to determine the positions of external dampers in such a way that the influence of the input on the output is minimized. The…
In a one-sided limit order book, satisfying some realistic assumptions, where the unaffected price process follows a Levy process, we consider a market agent that wants to liquidate a large position of shares. We assume that the agent has…
We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that…
We consider the Bachelier model with linear price impact. Exponential utility indifference prices are studied for vanilla European options in the case where the investor is required to liquidate her position. Our main result is establishing…
Price differentiation is a common strategy in many markets. In this paper, we study a static multiproduct price optimization problem with demand given by a discrete mixed multinomial logit model. By considering a mixed logit model that…
We consider the learning dynamics of a single reinforcement learning optimal execution trading agent when it interacts with an event driven agent-based financial market model. Trading takes place asynchronously through a matching engine in…
We prove the existence of an equilibrium in a model with transaction costs and price impact where two agents are incentivized to trade towards a target. The two types of frictions -- price impact and transaction costs -- lead the agents to…
As data marketplaces become increasingly central to the digital economy, it is crucial to design efficient pricing mechanisms that optimize revenue while ensuring fair and adaptive pricing. We introduce the Maximum Auction-to-Posted Price…
When executing their orders, investors are proposed different strategies by brokers and investment banks. Most orders are executed using VWAP algorithms. Other basic execution strategies include POV (also called PVol) -- for percentage of…
Mathematically, the execution of an American-style financial derivative is commonly reduced to solving an optimal stopping problem. Breaking the general assumption that the knowledge of the holder is restricted to the price history of the…